Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0034
Annualized Std Dev 0.6011
Annualized Sharpe (Rf=0%) 0.0057

Row

Daily Return Statistics

Close
Observations 3092.0000
NAs 1.0000
Minimum -0.2814
Quartile 1 -0.0163
Median 0.0012
Arithmetic Mean 0.0007
Geometric Mean 0.0000
Quartile 3 0.0186
Maximum 0.1742
SE Mean 0.0007
LCL Mean (0.95) -0.0006
UCL Mean (0.95) 0.0021
Variance 0.0014
Stdev 0.0379
Skewness -0.5697
Kurtosis 5.5524

Downside Risk

Close
Semi Deviation 0.0277
Gain Deviation 0.0255
Loss Deviation 0.0295
Downside Deviation (MAR=210%) 0.0316
Downside Deviation (Rf=0%) 0.0274
Downside Deviation (0%) 0.0274
Maximum Drawdown 0.9816
Historical VaR (95%) -0.0592
Historical ES (95%) -0.0922
Modified VaR (95%) -0.0632
Modified ES (95%) -0.1220
From Trough To Depth Length To Trough Recovery
2011-04-29 2020-03-18 NA -0.9816 2490 2236 NA
2009-12-03 2010-02-08 2010-09-14 -0.4086 196 45 151
2009-06-03 2009-07-10 2009-09-10 -0.3863 70 27 43
2009-02-24 2009-04-17 2009-05-28 -0.3556 66 38 28
2011-01-03 2011-01-25 2011-02-17 -0.2537 33 16 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA NA 7 7
2009 4.3 -0.1 0.7 1.7 -1.3 2.6 7.2 2.1 -3.5 -3.7 6.8 0.3 17.5
2010 5.8 -0.4 4.9 1.3 0 -8.7 3.9 0.3 3.1 -0.8 2.6 2.8 15.1
2011 3.6 4.6 0.3 -1.7 -9.7 -5.1 -3.1 0.3 -7 -6.6 -0.9 -1.3 -24.3
2012 3 5.3 0.1 -0.7 4.9 8.1 -4.4 9.4 1.2 -0.3 -4.9 1.8 25
2013 2.3 0.4 -2.3 -5.2 -4.9 0.2 -1.7 -3.4 -4.7 -0.5 3 -1.6 -17.3
2014 -0.3 -1.1 0.2 -1.3 -2.6 -0.7 -0.5 -0.5 1.5 -4.2 12.8 -6.8 -4.7
2015 3.7 0.3 3.8 0.7 0.2 -1.6 -0.3 -0.8 0.3 -0.8 1.2 -0.3 6.6
2016 1.3 -0.8 -4.4 2.5 0 9.6 0.8 2.4 0.9 5.3 0.1 -3.1 14.8
2017 -0.4 0.7 0.9 -3.9 -0.1 -0.3 -1.5 1.1 -2.3 5.1 0.1 1.2 0.4
2018 -0.9 1.1 0.7 -2 -0.3 1.3 -1.9 -0.8 -1.7 6.5 -1.7 1.1 1.1
2019 -1.7 -5.9 -0.4 -4.2 0.9 -2.4 1.4 1 2.7 0.1 0.6 -0.7 -8.5
2020 1.6 -12.1 -2 -0.7 4.1 -2.6 8.7 -0.7 4.3 2.6 12.5 -1.5 12.7
2021 14.7 0 1.8 NA NA NA NA NA NA NA NA NA 16.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart